The Value Premium and Time‐Varying Volatility
用捕捉价值减成长组合总风险时变性的模型，研究1963年后的价值溢价，发现价值溢价时间序列与其波动性正相关，且结论在美国和英国均稳健。
Abstract: Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post‐1963 value premium by employing a model that captures the time‐varying total risk of the value‐minus‐growth portfolios. Our results show that the time‐series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.